Abstract

http://ssrn.com/abstract=2329987
 


 



A Review of the Pension Benefit Guaranty Corporation Pension Insurance Modeling System


Jeffrey R. Brown


University of Illinois at Urbana-Champaign - Department of Finance; National Bureau of Economic Research (NBER); University of Illinois College of Law; University of Illinois at Urbana-Champaign - Institute of Government and Public Affairs (IGPA); University of Illinois at Urbana-Champaign - Department of Economics

Douglas Elliott


Brookings Institution

Tracy Gordon


Brookings Institution

Ross A. Hammond


Brookings Institution - Center on Social and Economic Dynamics

September 11, 2013


Abstract:     
This paper provides an independent review and evaluation of the PBGC's Pension Insurance Modeling System (PIMS). Our analysis suggests that the PIMS model was, in many ways, “state-of-the-art” when it was created approximately two decades ago. However, several key components of the model have not been revised to reflect the availability of new tools, new insights from the academic literature, or even new data. A key finding of our review is that the limited treatment of correlated risk factors arising from the macroeconomic environment is likely to substantially understate the degree of fiscal risk to PBGC’s insurance programs. Our review provides a number of specific observations about the model that could be used to guide future revisions to the model in this respect, particularly with regard to the modeling of the bankruptcy and financial market processes.

Number of Pages in PDF File: 67

Keywords: PBGC, PIMS, pension insurance, defined benefit plans, multiemployer plans

JEL Classification: G23, G28, H32, H55

working papers series


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Date posted: September 25, 2013  

Suggested Citation

Brown, Jeffrey R. and Elliott, Douglas and Gordon, Tracy and Hammond, Ross A., A Review of the Pension Benefit Guaranty Corporation Pension Insurance Modeling System (September 11, 2013). Available at SSRN: http://ssrn.com/abstract=2329987 or http://dx.doi.org/10.2139/ssrn.2329987

Contact Information

Jeffrey R. Brown (Contact Author)
University of Illinois at Urbana-Champaign - Department of Finance ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
University of Illinois College of Law ( email )
504 E. Pennsylvania Avenue
Champaign, IL 61820
United States
University of Illinois at Urbana-Champaign - Institute of Government and Public Affairs (IGPA) ( email )
Urbana, IL 61801
United States
University of Illinois at Urbana-Champaign - Department of Economics ( email )
410 David Kinley Hall
1407 W. Gregory
Urbana, IL 61801
United States
Douglas Elliott
Brookings Institution ( email )
1775 Massachusetts Ave, NW
Washington, DC 20036
United States
Tracy Gordon
Brookings Institution ( email )
1775 Massachusetts Ave, NW
Washington, DC 20036
United States
Ross A. Hammond
Brookings Institution - Center on Social and Economic Dynamics ( email )
1775 Massachusetts Avenue, NW
Washington, DC 20036
United States
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